Finnish President Sauli Niinistö called Vladimir Putin on May 14 to let him know that Finland was applying to join the North Atlantic Treaty Organization. The Kremlin had threatened Helsinki over its prospective application but later played down the news. “Putin was very calm and cool,” Mr. Niinistö says during an interview at the presidential palace last week. “If a Russian is angry, yes, be careful. But if he’s calm, be even more careful.” Like most every other Finn I spoke with, the president is a student of his country’s long and violent history with Russia. But he also has...